Jozef Baruník

Charles University in Prague - Department of Economics

Associate Professor

Opletalova 26

Prague 1, 110 00

Czech Republic

http://ies.fsv.cuni.cz/en/staff/barunik

Institute of Information Theory and Automation, Prague

Research Fellow

Pod vodarenskou vezi 4

CZ-18208 Praha 8

Czech Republic

http://staff.utia.cas.cz/barunik/home.htm

  • Charles University in Prague - Department of Economics

  • Institute of Information Theory and Automation, Prague

SCHOLARLY PAPERS

46

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245

Scholarly Papers (46)

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1.

Persistence in Financial Connectedness and Systemic Risk

Number of pages: 63 Posted: 27 Jul 2020 Last Revised: 21 Sep 2023
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 623 (90,761)
Citation 27

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Finance, Network connections, Variance Decompositions, Persistence, Spectral Domain.

2.

Measuring the frequency dynamics of financial connectedness and systemic risk

Journal of Financial Econometrics, Volume 16, Issue 2, 2018
Number of pages: 31 Posted: 08 Jul 2015 Last Revised: 27 Oct 2020
Jozef Baruník and Tomas Krehlik
Charles University in Prague - Department of Economics and Charles University in Prague
Downloads 524 (112,806)
Citation 10

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Connectedness, frequency, spectral analysis, systemic risk

3.

Deep Learning, Predictability, and Optimal Portfolio Returns

Number of pages: 49 Posted: 27 Oct 2020 Last Revised: 11 Sep 2022
Mykola Babiak and Jozef Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 439 (139,611)
Citation 1

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Return Predictability, Portfolio Allocation, Machine Learning, Neural Networks, Empirical Asset Pricing

4.

Currency Network Risk

Number of pages: 63 Posted: 18 Feb 2021 Last Revised: 01 Nov 2023
Mykola Babiak and Jozef Baruník
Lancaster University Management School and Charles University in Prague - Department of Economics
Downloads 393 (158,455)

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Currency predictability, network risk, currency volatility, option-implied volatility, persistence, term structure

5.

Dynamic Industry Uncertainty Networks and the Business Cycle

Downloads 358 (175,734)
Citation 1

Dynamic Industry Uncertainty Networks and the Business Cycle

Journal of Economic Dynamics and Control, volume 159, 2024 [10.1016/j.jedc.2023.104793]
Number of pages: 54 Posted: 10 Mar 2021 Last Revised: 26 Jul 2024
Jozef Baruník, Mattia Bevilacqua and Robert W. Faff
Charles University in Prague - Department of Economics, University of Liverpool - Management School (ULMS) and Corvinus University Budapest
Downloads 299 (211,725)
Citation 1

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Financial Uncertainty, Industry Network, Options Market, Business Cycle

Dynamic Industry Uncertainty Networks and the Business Cycle

Number of pages: 46 Posted: 04 Apr 2023
Jozef Baruník, Mattia Bevilacqua and Robert W. Faff
Charles University in Prague - Department of Economics, University of Liverpool - Management School (ULMS) and Corvinus University Budapest
Downloads 59 (764,997)

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Financial Uncertainty, Industry Network, Options Market, Business Cycle

6.

Forecasting the Term Structure of Crude Oil Futures Prices with Neural Networks

Number of pages: 26 Posted: 20 Apr 2015
Jozef Baruník and Barbora Malinská
Charles University in Prague - Department of Economics and Charles University in Prague - Faculty of Social Sciences
Downloads 347 (181,873)
Citation 4

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term structure, Nelson-Siegel model, dynamic neural networks, crude oil futures

7.

Gold, Oil, and Stocks

Number of pages: 27 Posted: 02 Aug 2013 Last Revised: 10 May 2014
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 335 (188,943)
Citation 4

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

8.

Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables

Number of pages: 53 Posted: 24 Oct 2015 Last Revised: 30 Dec 2018
Jozef Baruník and Tobias Kley
Charles University in Prague - Department of Economics and London School of Economics & Political Science (LSE) - Department of Statistics
Downloads 298 (214,041)
Citation 33

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Cross-spectral analysis, Ranks, Copula, Stock market, Risk

9.

Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns

Number of pages: 37 Posted: 30 Aug 2017
Frantisek Cech and Jozef Baruník
Charles University in Prague - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 256 (250,209)
Citation 2

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Panel Quantile Regression, Realized Measures, Value–at–Risk

10.

Asymmetric Connectedness of Stocks: How Does Bad and Good Volatility Spill over the U.S. Stock Market?

Journal of Financial Markets, Vol. 26, 2016
Number of pages: 36 Posted: 06 Aug 2013 Last Revised: 29 Oct 2018
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 244 (262,483)
Citation 4

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Volatility, Spillovers, Semivariance, Asymmetric effects, Financial markets

11.

Dynamic Network Risk

Number of pages: 62 Posted: 07 Jul 2020
Michael Ellington and Jozef Baruník
University of Liverpool and Charles University in Prague - Department of Economics
Downloads 234 (273,399)

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Network Risk, Firm Volatility, Cross Section Of Stock Returns

12.

Are Benefits from Oil - Stocks Diversification Gone? New Evidence from a Dynamic Copula and High Frequency Data

Number of pages: 35 Posted: 23 Jul 2013 Last Revised: 11 Feb 2015
Krenar Avdulaj and Jozef Baruník
Charles University in Prague - Department of Economics and Charles University in Prague - Department of Economics
Downloads 224 (285,186)
Citation 2

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portfolio diversification, dynamic correlations, high frequency data time-varying copulas, commodities

13.

Asymmetric Connectedness on the U.S. Stock Market: Bad and Good Volatility Spillovers

CESifo Working Paper Series No. 5305
Number of pages: 30 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 221 (288,847)
Citation 47

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volatility, spillovers, semivariance, asymmetric effects, financial markets

14.

Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility

Journal of Financial Econometrics, 2016, Vol. 14, No. 1, 185--226
Number of pages: 49 Posted: 20 Aug 2013 Last Revised: 15 Oct 2017
Filip Zikes and Jozef Baruník
Imperial College London and Charles University in Prague - Department of Economics
Downloads 221 (288,847)
Citation 5

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conditional quantiles, Value-at-Risk, quantile regression, realized measures

15.

Coupling High-Frequency Data with Nonlinear Models in Multiple-Step-Ahead Forecasting of Energy Markets' Volatility

Number of pages: 34 Posted: 27 Apr 2014
Jozef Baruník and Tomas Krehlik
Charles University in Prague - Department of Economics and Charles University in Prague
Downloads 211 (301,776)
Citation 3

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artificial neural networks, realized volatility, multiple-step-ahead forecasts, energy markets

16.

Gold, Oil, and Stocks: Dynamic Correlations

CESifo Working Paper Series No. 5333
Number of pages: 28 Posted: 07 May 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 203 (313,029)
Citation 1

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financial markets, time-frequency dynamics, gold, oil, stocks, high-frequency data, dynamic correlation, financial crisis, wavelets

17.

Commonalities in Firm-level Implied Volatilities

Number of pages: 48 Posted: 09 Sep 2023 Last Revised: 16 Nov 2024
Mykola Babiak, Jozef Baruník, Mattia Bevilacqua and Michael Ellington
Lancaster University Management School, Charles University in Prague - Department of Economics, University of Liverpool - Management School (ULMS) and University of Liverpool
Downloads 202 (314,459)
Citation 1

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firm-level, Implied Volatility, option prices, cross section of stock returns

18.

Volatility Spillovers Across Petroleum Markets

William Davidson Institute Working Paper No. 1093
Number of pages: 29 Posted: 29 Apr 2015
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Charles University in Prague
Downloads 201 (315,885)
Citation 13

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volatility spillovers, asymmetry, petroleum markets

19.

Asymmetric Network Connectedness of Fears

Review of Economics and Statistics, Forthcoming
Number of pages: 30 Posted: 20 Nov 2018 Last Revised: 27 Oct 2020
Jozef Baruník, Mattia Bevilacqua and Radu Tunaru
Charles University in Prague - Department of Economics, University of Liverpool - Management School (ULMS) and University of Sussex
Downloads 183 (344,366)
Citation 8

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Implied Volatility, Asymmetric Network Connectedness, U.S. Financial Sector.

20.

Realized Wavelet-Based Estimation of Integrated Variance and Jumps in the Presence of Noise

Quantitative Finance (2015) Vol. 15, No. 8, 1347-1364
Number of pages: 28 Posted: 08 Apr 2012 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 181 (347,776)
Citation 9

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quadratic variation, realized variance, jumps, market microstructure noise, wavelets

21.

Modeling and Forecasting Exchange Rate Volatility in Time-Frequency Domain

Number of pages: 33 Posted: 31 May 2012 Last Revised: 04 Feb 2015
Jozef Baruník, Tomas Krehlik and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 178 (353,010)
Citation 8

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wavelet decomposition, jumps, volatility forecasting, Realized GARCH

22.

Asymmetric Volatility Connectedness on Forex Markets

Journal of International Money and Finance, Vol. 77C, 2017
Number of pages: 39 Posted: 28 Jul 2016 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 177 (354,756)
Citation 21

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volatility, connectedness, spillovers, semivariance, asymmetric effects, forex markets

23.

Do co-jumps impact correlations in currency markets?

Journal of Financial Markets, Forthcoming
Number of pages: 44 Posted: 18 Feb 2016 Last Revised: 15 Oct 2017
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 173 (361,881)

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co-jumps, currency markets, realized covariance, wavelets, bootstrap

24.

Common Idiosyncratic Quantile Risk

Number of pages: 63 Posted: 16 Sep 2022 Last Revised: 01 Nov 2024
Jozef Baruník and Matěj Nevrla
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 168 (371,339)

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Cross-section of asset returns, factor structure of asset returns, idiosyncratic risk, quantiles, asymmetric risk

25.

Taming data-driven probability distributions

Number of pages: 30 Posted: 27 Apr 2022 Last Revised: 30 May 2024
Jozef Baruník and Lubos Hanus
Charles University in Prague - Department of Economics and Institute of Economic Studies, Charles University in Prague
Downloads 168 (371,339)
Citation 1

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Distributional forecasting, machine learning, deep learning, probability, economic time series

26.

Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists

Number of pages: 29 Posted: 13 Jun 2019
Jozef Baruník, Cathy Yi‐Hsuan Chen and Jan Vecer
Charles University in Prague - Department of Economics, University of Glasgow, Adam Smith Business School and Charles University in Prague - Faculty of Mathematics and Physics
Downloads 166 (375,160)

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High frequency text, Sentiment, Stochastic volatility, Continuous time models

27.

Co-jumping of Treasury Yield Curve Rates

Number of pages: 37 Posted: 10 Jun 2019
Jozef Baruník and Pavel Fiser
Charles University in Prague - Department of Economics and Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Students
Downloads 163 (381,136)
Citation 2

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Co-jumps, Yield curve, Wavelets, High frequency data

28.

Total, Asymmetric and Frequency Connectedness between Oil and Forex Markets

CESifo Working Paper No. 7756
Number of pages: 38 Posted: 30 Jul 2019
Jozef Baruník and Evžen Kočenda
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 155 (397,872)
Citation 3

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crude oil, forex market, volatility, connectedness, spillovers, semivariance, asymmetric effects, frequency connectedness

29.

Modeling and Forecasting Persistent Financial Durations

Econometric Reviews, 36:10, 1081-1110, 2017
Number of pages: 49 Posted: 15 Jul 2012 Last Revised: 15 Oct 2017
Filip Zikes, Jozef Baruník and Nikhil Shenai
Imperial College London, Charles University in Prague - Department of Economics and Imperial College London
Downloads 155 (397,872)
Citation 1

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price durations, long memory, multifractal models, realized volatility, Whittle estimation

30.

Frequency-Dependent Higher Moment Risks

Number of pages: 56 Posted: 12 Apr 2021
Jozef Baruník and Josef Kurka
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 151 (406,581)

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Higher Moments, frequency, Spectral Analysis, Cross-sectional

31.

The Dynamic Persistence of Economic Shocks

Number of pages: 27 Posted: 04 Jun 2023
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 149 (413,313)

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persistence heterogeneity, wold decomposition, local stationarity, time-varying parameters

32.

Estimation of Financial Agent-Based Models with Simulated Maximum Likelihood

This is a pre-print of an article published in the Journal of Economic Dynamics and Control (2017). The final authenticated version is available online at DOI: doi.org/10.1016/j.jedc.2017.09.006
Number of pages: 38 Posted: 26 May 2016 Last Revised: 21 Sep 2021
Jiri Kukacka and Jozef Baruník
Charles University - Institute of Economic Studies and Charles University in Prague - Department of Economics
Downloads 144 (422,395)
Citation 21

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heterogeneous agent model, simulated maximum likelihood, estimation, intensity of choice, switching

33.

Quantile Spectral Beta: A Tale of Tail Risks, Investment Horizons, and Asset Prices

Number of pages: 55 Posted: 30 Jun 2018 Last Revised: 10 Dec 2021
Jozef Baruník and Matěj Nevrla
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 140 (431,918)

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Cross-sectional return variation, downside risk, tail risk, frequency, spectral risk, investment horizons

34.

The Common Factor in Volatility Risk Premia

Number of pages: 43 Posted: 09 Feb 2024
Mykola Babiak, Jozef Baruník, Michael Ellington and Mattia Bevilacqua
Lancaster University Management School, Charles University in Prague - Department of Economics, University of Liverpool and University of Liverpool - Management School (ULMS)
Downloads 135 (444,570)

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Firm volatility risk premia, cross-section of stock returns, market return predictability

35.

Learning Probability Distributions of Day-Ahead Electricity Prices

Number of pages: 32 Posted: 01 Nov 2023
Jozef Baruník and Lubos Hanus
Charles University in Prague - Department of Economics and Institute of Economic Studies, Charles University in Prague
Downloads 133 (449,916)

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Distributional forecasting, deep learning, probabilistic, electricity, energy time series

36.

News-Driven Uncertainty and Volatility Feedback

Number of pages: 25 Posted: 29 Sep 2023
Ankush Agarwal, Jozef Baruník and Cathy Yi‐Hsuan Chen
University of Glasgow - Adam Smith Business School, Charles University in Prague - Department of Economics and University of Glasgow, Adam Smith Business School
Downloads 131 (455,367)

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feedback effect, leverage effect, stochastic volatility, uncertainty, sentiment

37.

Risks of Heterogeneously Persistent Higher Moments

Number of pages: 51 Posted: 03 Sep 2022 Last Revised: 24 Apr 2024
Jozef Baruník and Josef Kurka
Charles University in Prague - Department of Economics and Charles University in Prague - Institute of Economic Studies
Downloads 129 (460,982)

Abstract:

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higher moments, transitory, persistent, cross-section of returns

38.

Predicting the Distributions of Stock Returns Around the Globe in the Era of Big Data and Learning

Number of pages: 61 Posted: 16 Sep 2024
Jozef Baruník, Martin Hronec and Ondrej Tobek
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and University of Cambridge - Faculty of Economics
Downloads 104 (542,244)

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Distribution forecasting, Cross-section of stock returns, Anomalies, Quantile forecasting, Machine learning, Neural networks, Splines

39.

Realizing Stock Market Crashes: Stochastic Cusp Catastrophe Model of Returns under the Time-Varying Volatility

This is a pre-print of an article published in Quantitative Finance (2015). The final authenticated version is available online at DOI: doi.org/10.1080/14697688.2014.950319
Number of pages: 23 Posted: 28 Feb 2013 Last Revised: 21 Sep 2021
Jozef Baruník and Jiri Kukacka
Charles University in Prague - Department of Economics and Charles University - Institute of Economic Studies
Downloads 104 (542,244)
Citation 6

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stochastic cusp catastrophe model, realized volatility, bifurcations, stock market crash

40.

Forecasting Dynamic Return Distributions Based on Ordered Binary Choice

Number of pages: 30 Posted: 17 Nov 2017 Last Revised: 09 Jan 2019
Stanislav Anatolyev, Stanislav Anatolyev and Jozef Baruník
CERGE-EINew Economic School and Charles University in Prague - Department of Economics
Downloads 101 (553,705)

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asset returns, predictive distribution, conditional probability, probability forecasting, ordered binary choice

41.

Cyclical Properties of Supply-Side and Demand-Side Shocks in Oil-Based Commodity Markets

Energy Economics, Vol. 65, 2017
Number of pages: 22 Posted: 23 Mar 2016 Last Revised: 15 Oct 2017
Tomas Krehlik and Jozef Baruník
Charles University in Prague and Charles University in Prague - Department of Economics
Downloads 93 (584,478)
Citation 2

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42.

Investment Disputes and Abnormal Volatility of Stocks

Number of pages: 23 Posted: 10 Jul 2020
Jozef Baruník, Zdenek Drabek and Matěj Nevrla
Charles University in Prague - Department of Economics, World Trade Organization (WTO) and Academy of Sciences of the Czech Republic - Department of Econometrics
Downloads 92 (588,288)
Citation 2

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43.

How Does Bad and Good Volatility Spill Over Across Petroleum Markets?

The Energy Journal, 36(3), 309-329, 2015
Number of pages: 22 Posted: 12 May 2014 Last Revised: 15 Oct 2017
Jozef Baruník, Evžen Kočenda and Lukas Vacha
Charles University in Prague - Department of Economics, Charles University in Prague - Institute of Economic Studies and Institute of Information Theory and Automation, Academy of Sciences of the Czech Republic
Downloads 90 (596,308)
Citation 2

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volatility spillovers, asymmetry, petroleum markets

44.

Revisiting the Fractional Cointegrating Dynamics of Implied-Realized Volatility Relation with Wavelet Band Spectrum Regression

Number of pages: 32 Posted: 24 Aug 2012 Last Revised: 18 Feb 2013
Jozef Baruník and Michaela Barunikova
Charles University in Prague - Department of Economics and Academy of Sciences of the Czech Republic
Downloads 86 (613,183)
Citation 1

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wavelet band spectrum regression, corridor implied volatility, realized volatility, fractional cointegration

45.

"Who's the Boss?" The Role of Shareholders in Banks' Lending Decisions

Number of pages: 52 Posted: 02 Oct 2024
Petros Katsoulis, Eddie Gerba, Jozef Baruník and Jonathan Acosta-Smith
Bank of England, Bank of England, Charles University in Prague - Department of Economics and Organization for Economic Co-Operation and Development (OECD)
Downloads 70 (687,880)

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Distribution restrictions, Covid-19, required rate of return on capital, lending, pass-through

46.

Predicting the volatility of major energy commodity prices: the dynamic persistence model *

Number of pages: 29 Posted: 29 Feb 2024
Jozef Baruník and Lukas Vacha
Charles University in Prague - Department of Economics and affiliation not provided to SSRN
Downloads 48 (825,213)

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persistence heterogeneity, wold decomposition, local stationarity, time-varying parameters JEL: C14, C18, C22, C50